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~subject:"Dynamic covariance matrix"
~subject:"Futures"
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A Markov-switching multifractal approach to forecasting
realized
volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
-
2011
for
realized
volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by …
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